FUND TRANSFER PRICING - SAVREMEN KONCEPT ZA UTVRĐIVANJE PROFITABILNOSTI POSLOVNIH SEKTORA BANKE

originalni naučni rad UDK 005.915:336.71 ; 657.212 Rezime mr Aleksandra Biorac Eurobank EFG ad Beograd aleksandra.biorac@eurobankefg.rs FUND TRANSFER PRICING - SAVREMEN KONCEPT ZA UTVRĐIVANJE PROFITABILNOSTI POSLOVNIH SEKTORA BANKE U bilansu uspeha banke, neto prihod od kamata čini 60% do 80% ukupno ostvarenog prihoda. Polazeći od te činjenice, narednim tekstom želi se približiti suština i način funkcionisanja nove računovodstvene tehnike koja omogućava veću analitičnost i raščlanjavanje neto prihoda od kamata po profitnim centrima. Fund transfer pricing predstavlja kvantitativno računovodstvenu tehniku namenjenu bankama za merenje i ocenu neto kamatne margine (spreda) kredita, depozita, poslovnih linija, klijenata, tržišnih segmenata ili učinka zaposlenih u profitnim centrima banke. Jos jedna važna funkcija FTP-a jeste da se eliminiše uticaj kamatnog rizika iz rezultata kreditno/depozitnih poslova i da ga centralizuje i transferiše ka sektoru koji će vršiti njegovo adekvatno upravljanje. Uobičajeno je da upravljanje kamatnim rizikom bude povereno sektoru sredstava (engl. Treasury). Ključni momenat u okviru primene FTP tehnike jeste izbor FTP stope. FTP stopu determiniše izabrana kriva prinosa. Većina banaka za FTP krivu prinosa bira svop krivu prinosa. Razlog tome, leži u činjenici da varijabilnost tržišnih kamatnih stopa uslovljava povećanu nestabilnost u poslovanju banke. Veliku primenu FTP ima u okviru ALM strategije, te tako danas predstavlja jednu od najvećih promena koje su se desile u toj oblasti. Ono što je karakteristično za ovu računovodstvenu tehniku na domaćem tržištu, jeste njeno nedovoljno poznavanje i veoma slaba i prosta primena. Rad primljen: 24.01.2011. Odobren za štampu: 22.06.2011. Ključne reči: fund transfer pricing, FTP stopa, spred, svop kriva prinosa, kamatni rizik JEL klasifikacija: G21, L21 60

original scientific paper UDC 005.915:336.71 ; 657.212 Summary In the bank s profit and loss statement, net interest income accounts for 60% to 80% of the total received revenues. Based on this fact, the paper that follows wishes to examine the essence and manner of functioning of this new accounting technique that allows for a higher analytic performance by breaking-down of the net interest income by the profit centres of a bank. Funds transfer pricing is a quantitative accounting technique designed for banks to measure and evaluate net interest margins (spreads) for credits, deposits, business lines, clients, market segments, or performance of staff employed in the profit centres of a bank. Another important function of the FTP is to eliminate the effects of the interest rate risk exposure as a result of credit/deposit operations and to centralise and transfer it towards the sector which shall perform its adequate management. Usually the interest rate risk management is entrusted to the Treasury department of a bank. Key moment in the implementation of the FTP technique is the selection of a FTP rate. FTP rate is determined by the selected yield curve. Most of the banks are choosing for their FTP yield curve the swap yield curve. Rationale for this is to be found in the fact that the variability of market interest rates is causing an increased instability in the bank s operations. FTP has an extensive application within the ALM strategy, and today is deemed to be one of the major changes introduced in this field. Characteristic feature for this accounting technique on the domestic market is that it is not sufficiently familiar in banks and that it is rather seldom and feebly applied. Key Words: funds transfer pricing, FTP rate, spread, swap yield curve, interest rate risk JEL Classification: G21, L21 Aleksandra Biorac MSc Eurobank EFG ad Beograd aleksandra.biorac@eurobankefg.rs FUNDS TRANSFER PRICING A CONTEMPORARY CONCEPT FOR DETERMINING PROFITABILITY OF THE BANK S BUSINESS SECTORS Paper received: 24.01.2011 Approved for publishing: 22.06.2011 61

Nastanak Sredinom 70-tih godina u Sjedinjenim Američkim Državama, celokupno hipotekarno tržište karakterisali su stambeni krediti po fiksnoj kamatnoj stopi. Krediti sa varijabilnom kamatnom stopom još nisu bili uvedeni kao proizvodi. Spremala se i deregulacija kamatnih stopa u oblasti zakonodavstva, a prvi finansijski derivati još nisu bili primenjeni u praksi. U najvećoj banci u Americi u to vreme, Bank of America, postojeći sistem podrške za odlučivanje bio je neodgovarajući i nekoristan za donošenje strateških odluka. Razvoj fund transfer pricing-a kao novog sistema koji će odgovarati u novonastalom okruženju, povereno je mladom ali brilijantnom menadžeru Mack Terry-ju. Fundamentalni princip razvijen u odeljenju Finansijske analize i planiranja polazi od toga da se kredit na tri godine optereti fiksnom kamatnom stopom za trogodišnji period. Stambeni kredit na 30 godina, imao bi trošak finansiranje jednak fiksnoj kamatnoj stopi za period od 30 godina. Primena prosečne stope kao troška finansiranja imala je značajne mane, posebno u uslovima rastućih kamatnih stopa. Da je takav metod uveden ranije, pokazao bi kako je profitabilnost stambenih kredita nula ili negativna. Mack Terry i njegov tim uočili su da kamatni rizik nije hedžovan tj. nije sprovedena finansijska transakcija kojom se smanjuje ili eliminiše rizik i da je banka pretrpela značajne gubitke zbog toga. Odlučeno je tada da kamatni rizik bude centralizovan u okviru funding centra (opširnije u nastavku), kroz koje su evidentirane sve aktivnosti banke. Konačno, implementacija sistema je podrazumevala edukaciju šireg kruga zaposlenih. Opšta cenovna politika je sada bila zasnovana na određivanju spreda iznad marginalnog troška finansiranja. Kamatna margina kredita (pojedinačna ili za ceo sektor) zavisila je od realizacije visine spreda između klijentske kamatne stope i marginalnog troška finansiranja. Pojam i definicija Fund transfer pricing predstavlja kvantitativno računovodstvenu tehniku namenjenu finansijskim institucijama za merenje i ocenu neto kamatne margine (spred) proizvoda, poslovnih linija, klijenata, tržišnih segmentata ili učinka zaposlenih u profitnim centrima banke. Metodom transfer pricing raščlanjuje se ukupan profit na njegove izvore. Suština koncepta je da se u okviru banke razvije unutrašnje tržište, preko koga se vrši transfer sredstava. To pretpostavlja postojanje tri osnovne grupe. Prvu, čine sektori koji generišu sredstva (depozitni sektori), drugi je sektor sredstava koji ima ulogu unutrašnjeg tržišta i treći, kreditni sektori koji vrše plasman sredstava. Depozitni sektori preko unutrašnjeg tržišta vrše prodaju sredstava kreditnom sektoru. Primena FTP se ogleda u kalkulaciji vrednosti transferisanih sredstava, što obično predstavljaju stope po kojima banka može da pozajmi ili plasira na eksternom tržištu. Za sektore koje vrše plasman sredstava, njihov bilans stanja sastojaće se iz imovine - plasmana na jednoj strani i obaveza - sredstava pozajmljenih od sektora sredstava na drugoj strani. Njihov bilans uspeha čini kamatna margina ostvarena kao pozitivna razlika između prihoda od kamate (realni tokovi) i troškova finansiranja (FTP tokovi) po kojoj su sredstva pozajmljena. Depozitni sektori prikupljena sredstva pozajmljuju sektoru sredstava po utvrđenoj FTP stopi. Njihov bilans uspeha čini pozitivna razlika između veće stope po kojoj su sredstva transferisana sektoru sredstava (FTP tokovi) i depozitne stope klijenata (realni tokovi). Sektor sredstava ostvaruje takođe profit i to na razlici između depozitne i kreditne FTP stope. Nivo razlike je uslovljen razlikom u ročnosti depozita i kredita, karakteristikama depozita i kredita, nivoom kamatnog rizika kao i hedžing operacijama. Obeležja procesa Većina softvera današnjice u procesu koriste imaginarni entitet koga možemo naći pod nazivom funding centar ili money market centar. Uvođenje imaginarnog entiteta u proces je važno iz dva razloga: prvi, da obezbedi konzistentnost sa zvaničnim finansijskim izveštajima i drugi da eliminiše efekat kamatnog rizika iz ostvarenih kamatnih margina profitnih centara a koji je van njihove kontrole. 62

Evolution The term and its definition In the mid-1970s, in the United States of America, the entire mortgage lending market was characteristic for the fixed interest rate housing loans. Loans with variable interest rate have not as yet been introduced as banking products. Deregulation was also being prepared for the interest rates in the field of legislature, while the first financial derivatives have not as yet been applied in practice. At the largest bank in America of that time, Bank of America, the available for decision-making support system was inadequate and useless in strategic decisions making. The development of the funds transfer pricing, as a new system appropriate for the newly emerging environment, was entrusted to a young yet brilliant manager, Mack Terry. Fundamental principle that was developed at the Financial Analysis and Planning Department started from the assumption that a three-year loan should be charged with a fixed interest rate for a three-year maturity period. A 30-year housing loan would bear a financial cost equal to the fixed interest rate for a 30-year period. Application of the average, or a mean interest rate, as cost of financing had some significant drawbacks, especially during periods of growth of the interest rates. If this method had been introduced earlier, it would have shown that the profitability of the housing loans was either a zero or a negative value. Mack Terry and his team noticed that the interest rate risk was not hedged, i.e. that no financial transaction reducing or eliminating this risk was implemented, and that the bank suffered substantial losses because of that. At that point, it was decided that the interest rate risk shall be centralised within the framework of the funding centre (explained in more detail further in this paper), through which all the bank s activities have been recorded. Finally, the implementation of this system required education of a broader circle of employees. The general pricing policy was now based on determining the spread above the marginal financing cost. Credit interest margin (either individually selected or the one prevailing in the entire sector), depends on the spread limit achieved between the interest rate charged on the client, and the marginal cost of financing. Funds transfer pricing is a quantitative accounting technique used in financial institutions for measurement and assessment of the net interest margin (spread) for products, business lines, clients, market segments or performance by employees in profit centres of a bank. Funds transfer pricing technique method breaks down total profit assigning it to its sources. The essence of this concept is to develop, within a bank, an internal market through which the transfer of funds is being carried out. This requires the presence of three main groups. The first group consists of sectors generating funds (deposit sectors), the second is the treasury sector as the internal market, and the third one, the credit sectors placeing the funds. Deposit sectors, through the internal market, conduct sales of funds to the crediting sector. Application of the FTP method is reflected in the calculation of value of the transferred funds, which usually stands for the rates at which the bank can borrow or lend funds on the external market. For sectors which are engaged in the placement of funds, their balance sheet will consists of the assets - placements, on the one side, and liabilities - funds borrowed from the treasury, on the other side. Their profit and loss statement will consists of the interest margin achieved as a positive difference between interest income (real cash flows) and costs of financing (FTP cash flows) at which the funds were borrowed. Deposit sectors will lend raised funds to the Treasury at a determined FTP rate. Their profit and loss statement will be the positive difference between a higher rate at which the funds were transferred to the Treasury (FTP cash flows) and the clients deposit rate (real cash flows). Treasury will also make profit on the difference between the deposit and the credit FTP rate. The level of difference is dependent on the difference in maturity between deposits and credits, characteristics of deposits and credits, the level of the interest rate risk, and also on the hedging operations. 63

Tabela 1. Bilans uspeha kreditnog sektora bez i sa primenom FTP metodologije Implementacija FTP nije sprovedena Krajnji rezultat ne možemo smatrati za istinski uspeh kreditnog sektora iz razloga što troškovi finansiranja nisu alocirani i poznata je samo prihodovna strana. Bilans uspeha Iznos kredita 100.000 Prihod od kamate 9.000 ROA 9% Troškovi finansiranja? COF? Kamatna margina? Kamatni spred? Prihod od naknada 500 Stopa 0,5% Ukupni prihodi 9.500 Stopa 9,5% Troškovi rezervisanja -1.000 Stopa rezervisanja -1.0% Neto prihod 8.500 Neto spred 8,5% Merenje profitabilnosti kod banaka je u većoj meri složeniji proces od finansijske analize preduzeća. Tim pre što banka nema mogućnost da tačno definiše i upari svoje izvore sa svakim od plasmana i da na taj način izvrši transfer njihovih troškova. Početni modeli FTP-a, za alokaciju troškova pasive koristili su ideju tzv povezivanja pojedinačnog izvora finansiranja sa tačno određenom pozicijom na aktivnoj strani Bilansa stanja. U teoriji ovakav pristup nazivamo "balance sheet matching". 1 Sama priroda bankarskog poslovanja je u koliziji sa navedenim pristupom. Da bi opstale u tržišnoj utakmici, banke su razvijale nove i modifikovale karakteristike postojećih proizvoda koji se zajedno ogledaju u većem broju varijanti. Oročenim depozitima može biti uvedena opcija povlačenja depozita na poziv, mesečna rata stambenog kredita može biti za jedan mesec ili se može uplatiti više mesečnih rata unapred. Koje će se od opcija i iskoristiti, u mnogome zavisi od tržišnih okolnosti. Svakako da u vreme niskih kamatnih stopa, većina stambenih kredita će se otplaćivati ubrzanom metodom. To sve ukazuje da je ročnost izvora i plasman teško utvrdiva. Stoga možemo slobodno zaključiti da uparivanje, Implementacija FTP sprovedena u sistemu Krajnji rezultat možemo smatrati validnim iz razloga što su troškovi finansiranja alocirani, kamatna margina je izračunata i stopa predstavlja poslovni uspeh kreditne aktivnosti banke Bilans uspeha Iznos kredita 100.000 Prihod od kamate 9.000 ROA 9% Troškovi finansiranja 6.000 COF 6% Kamatna margina 3.000 Kamatni spred 3% Prihod od naknada 500 Stopa 0,5% Ukupni prihodi 3.500 Troškovi rezervisanja -1.000 Stopa rezervisanja -1,0% Neto prihod 2.500 Neto spred 2,5% 1 Belinda B. Early (2008): Banker s Guide to Funds Tranfer Pricing, Alex esolutions, INC, Texas nije polazna osnova. Do potrebnih rezultata, dolazimo primenom jedne od dva FTP metoda: metod skupova (engl. pool funding) ili metodom ročne ravnoteže. U periodu nastanka, FTP metodologija se bazirala na pretpostavci da je određen skup kredita finansiran tačno određenim skupom depozita. Ovaj metod je jednostavan, ali ni izbliza približne korisnosti koju ima metod ročne ravnoteže. Metod skupova ima svoje varijacije koje zavise od broja formiranih skupova pa razlikujemo jednobrojni ili prost metod skupova, višebrojni metod i multipool metod. Na samom početku primene ideje o FTP-u, banke su obično koristile prost ili jednobrojni metod skupova koji se bazira na primeni samo jedne FTP stope. Banka sve izvore posmatra kao celinu i shodno tome formira samo jednu cenu. Ona predstavlja arbitrarnu cenu (obično se uzima fed funds rate). Po toj stopi su svi depoziti investirani odnosno svi krediti finansirani. Prost metod skupova je najjednostavniji za implementaciju u sistem banke i najlakši za razumeti. Funding centar se ne uvodi, jer zbrajanjem rezultata kreditnog i depozitnog sektora dobija se ukupno ostvaren rezultat banke. Međutim kao nedostatak ostaje to što u svojoj primeni on ne eliminiše efekat kamatnog rizika iz rezultata pojedinačnih sektora banke. Prednost kod višebrojnog metoda skupova je u tome što banke bilans stanja dele na dva skupa. Jedan skup čine pozicije aktive, a drugi skup čine pozicije pasive. Praktičan način da se dođe do FTP stope jeste izračunati ponderisan prosek aktuelnih kamatnih stopa koje nose pozicije aktive i pasive. U tom slučaju mariginalni trošak finansiranja za kredite predstavljaće ponderisan prosek pasivnih kamata na depozite, dok marginalna stopa investiranja 64

The main features of the process Most of the software available today for this process are using an imaginary entity that we can find under the name of either a funding centre, or a money market centre. Introduction of an imaginary entity into the process is important for two reasons: firstly, to provide consistency with the official financial reports, and secondly, to eliminate the effect of the interest rate risk from the achieved interest margins of the profit centres which is outside of their control. Table1. Profit and Loss Statement of the Credit Department with and without the application of the FTP methodology FTP implementation not conducted The final result cannot be considered a true success of the lending department, because the costs of finance have not been allocated and we are only familiar with the income side. Income statement Loan amount 100.000 Interest revenue 9.000 ROA 9% Cost of finance? COF? Interest margin? Interest spread? Income from fees 500 Rate 0,5% Total revenues 9.500 Rate 9,5% Costs of provisioning -1.000 Rate of provisioning -1.0% Net income 8.500 Net spread 8,5% Measuring profitability in banks is a more complex process than the financial analysis of a company. This even more so as the bank has no opportunity of precisely defining and matching its sources with every placement and in that way perform transfer of their costs. The original FTP models, for allocation of liabilities costs, have applied the idea of the so-called linking of an individual source of financing with a particular item on the assets side of the balance sheet. In theory, such an approach is called balance sheet matching. 1 The nature itself of the banking business FTP implementation conducted in the system The final result may be considered valid, because the costs of finance have been allocated, interest margin has been calculated, and the rate represents the business success of the bank's lending activity. Income statement Loan amount 100.000 Interest revenue 9.000 ROA 9% Cost of finance 6.000 COF 6% Interest margin 3.000 Interest spread 3% Income from fees 500 Rate 0,5% Total revenues 3.500 Costs of provisioning -1.000 Rate of provisioning -1,0% Net income 2.500 Net spread 2,5% 1 Belinda B. Early (2008): Banker s Guide to Funds Tranfer Pricing, Alex esolutions, INC, Texas stands in collision with the said approach. In order to prevail in the market competition, banks have been developing new and modified characteristics of the existing products, which are all together reflected in a larger number of variants. Time deposits may contain an introduced option of a call deposit, monthly interest rate on a housing loan may apply to one month, or several monthly rates may be paid in advance. Which one of the options will be used greatly depends on the market situation. Of course, at the time of low interest rates certainly the majority of housing loans will be repaid at an accelerated method. All of this indicates that the maturity of source and placement is hard to define. Thus we may feel free to conclude that matching is not the point of departure. To arrive at the necessary results, we need to apply one of the two FTP methods: the method of pool funding, or the method of matched maturity. In the period of its creation, FTP methodology was based on the assumption that a certain set of loans is financed by a precisely determined set of deposits. This method is simple, but it is not even near the usefulness that the method of matched maturity provides. Method of pools has its variations which depend on the number of formed pools, so we can differentiate a singledigit or a method of single pools, multi-digit method and multi-pool method. At the very beginning of the FTP idea application, banks were usually using a single-pool or a singledigit method which is based on the application of only one FTP rate. Bank is assessing all the sources as an entity and thereupon is forming only one price. This price represents the arbitrary price (usually taken as a fed funds rate). It is at this rate that all the deposits are 65

biće dobijena kao ponderisan prosek aktivnih kamatnih stopa kredita odobrenih klijentima. Prednost kod ove metode je u tome što ne koristi arbitrarnu stopu kao što je to slučaj sa prostim metodom već je FTP stopa bazirana na realnim tržišnim kamatnim stopama, ali glavni i osnovni nedostatak je i dalje prisustvo kamatnog rizika u rezultatima pojedinačnih sektora banke. Multipool metod ide korak dalje, pa u obzir uzima kriterijum ročnosti i prirodu kamatne stope (fiksna ili varijabilna). Skupovi se formiraju preme tome da li je rok dospeća do godinu dana (kratkoročni skup) ili dugoročni. Može se formirati i srednjoročni skup (za period od jedne do tri godine). Banka može formirati onoliko skupova za koliko nađe da je svrsishodno. Prednost mulitpool metoda je ublažavanje efekta kamatnog rizika na rezultate poslovnih sektora banke. Za FTP stope se uzimaju aktuelne stope važeće na finansijskim tržišima (to mogu biti stope formirane na londonskom međunarodnom bankarskom trižištu) te će se za finansiranje kratkoročnih skupova koristiti tromesečni euribor, za srednjoročni jednogodišnji euribor, a za dugoročni skup petogodišnji. Nedostatak ovog metoda je što ne uzima u obzir originalni datum kada je depozit primljen ili datum puštanja kredita već kreditima dodeljuje trenutno važeće stope, pa je tako kamatni rizik i dalje prisutan prilikom kalkulacije rezultata poslovnih sektora. Metod ročne ravnoteže Većina banaka današnjice koristi metod ročne ravnoteže (MMTP - Matched Maturity Transfer Pricing). Prvi put je primenjen od strane Bank of America. Metodologija se zasniva na primeni krive prinosa koja će opredeliti visinu FTP stope umesto formiranju skupova. FTP stopa zavisi i od originalnog datuma nastanka transakcije i prirode kamatne stope. Kod kredita i depozita sa varijabilnom kamatnom stopom, kao kriterijum izbora FTP stope uzima se period za koji je klijentska kamatna stopa nepromenjena. U situacijama kad se kamatna stopa usklađuje veći broj puta sa aktuelnom tržišnom stopom odnosno ona varira u toku životnog veka, kriterijum izbora FTP stope jeste vremenski interval ponovne promene kamatne stope sa promenom tržišne ili re-pricing period. Na primer, ako u bilansu banke postoji kredit koji je pre godinu dana odobren po fiksnoj kamatnoj stopi na rok od 3 godine, FTP stopa koja se dodeljuje nalazi se na krivi prinosa prethodne godine. Kao kriva prinosa koristi se kriva zaduženja na eksternom tržištu ili svop kriva prinosa. Na toj krivi prinosa izabraće se stopa koja odgovara za period od 3 godine. Tim izborom FTP stopa odgovaraće i periodu nastanka kredita i njegovoj ročnosti. Kao primer, uzmimo depozit sa rokom od 1 godine investiran u trogodišnji kredit sa fiksnom kamatnom stopom. Ako su obe transakcije nastale u istom vremenskom periodu koristiće se jedna kriva prinosa na kojoj se nalaze dodeljene FTP stope. Kod primene metoda ročne ravnoteže, jednom izabrana FTP stopa u momentu nastanka transakcije ostaje nepromenjena tokom životnog veka proizvoda. Kamatna margina kredita biće konstantna do momenta njegovog isteka. Na taj način rizik od promene kamatnih stopa biće izolovan iz rezultata kreditnog sektora koji se nalazi u okviru funding centra. Kod proizvoda sa varijabilnom kamatnom stopom, FTP stopa biće konstantna do momenta promene klijentske kamatne stope odnosno usklađivanja sa važećom tržišnom kamatnom stopom. Na taj način, spred kreditnog sektora ostaće takođe konstantan za vreme trajanja kredita. Složenost metoda je značajno veća od metoda skupova i zahteva veće angažovanje resursa prilikom primene i održavanja. Međutim, kvalitet dobijenih informacija zavređuje svaki dodan ulog. U okviru MMTP metodologije većina banke za FTP krivu prinosa biraju svop krivu prinosa. Svop kamatne stope kao jedno od prvih bankarskih proizvoda savremenog tržišnog bankarstva je aranžman između dve strane koje imaju komplementarne potrebe da razmene kamatne obaveze na obostranu korist. Putem ovakvog aranžmana može se postojeća aktiva ili pasiva pretvoriti u aktivu ili pasivu sa drugačijom strukturom kamantih stopa (npr. promenljiva u fiksnu, LIBOR u stopu za komercijalne papire itd.). Korišćenjem svopa kamatnih stopa, banka želi da neutrališe gubitke koji mogu nastati realizacijom kamatnog rizika. 66

being invested, i.e. that all the credits are being financed. Single-pool method is the simplest for the implementation in the bank s system and the easiest to understand. Funding centre is not being introduced because by summing up of results achieved by the crediting and deposit units, the total achieved result of the bank is obtained. However, the drawback here remains that in its application, it does not eliminate the effect of the interest rate risk from the results of individual sectors of the banks. The advantage of the multi-digit pool method is the fact that banks are dividing their balance sheet into two pools. One pool consists of the assets positions, and the second pool consists of liabilities positions. Practical way of arriving at the FTP rate is to calculate the weighted average of actual interest rates on items of assets and liabilities. In that case, marginal cost of financing for credits shall represent the weighted average of passive interest on deposits, while the marginal rate of investment will be obtained as a weighted average of the active interest rates on credits extended to clients. The advantage of this method is that it does not use the arbitrary rate, as is the case with the single method, but the FTP rate is based on real market interest rates, although the main and basic shortcoming here still remains the presence of the interest rate risk in results of individual sectors of the bank. Multi-pool method goes a step further, and takes into consideration the criterion of maturity and the nature of the interest rate (fixed or variable). Pools are being formed depending on whether maturity is up to one year (short-term pool), or a long-term one. A medium-term pool can also be formed (for a period from one to three years). Bank may form as many pools as it deems feasible. The advantage of the multi-pool method is the mitigation of the interest rate risk effect on results of the business units of a bank. FTP rates are taken from the actual rates in force on financial markets (these may be rates formed on the London International Banking Market). Thus for financing of a short-term pool, a threemonth Euribor will be used, for the mediumterm pool, a one-year Euribor will apply, and for the long-term pool, a five-year Euribor will be used. The drawback of this method is that it does not take into consideration the original date when the deposit was received or the date when the credit was disbursed, but is applying on credits the currently valid rates, so that the interest rate risk will remains present during calculation of results of the business sectors. Matched maturity transfer pricing Most of the banks today are using the method of Matched Maturity Transfer Pricing - MMTP. This was the method first applied by the Bank of America. Methodology is based on the yield curve that shall determine the level of the FTP rate instead of forming the pools. The FTP rate depends on both the original date of transaction and the nature of the interest rate. In case of credits and deposits with the variable interest rate, as a criterion for selection of the FTP rate is taken the period for which the client s interest rate remains unchanged. In the situations when the interest rate is adjusted many times to the actual market rate in force, i.e. when it varies during the life cycle of the transaction, criterion for the selection of the FTP rate is the time interval until the new adjustment in the interest rate is made with the changed market rate, i.e. the re-pricing period. For example, if in the balance sheet of a bank there is a credit which has been approved one year ago at a fixed interest rate for a 3 year period, FTP rate allocated to this facility will be located in the yield curve of the previous year. As a yield curve the yield of borrowing on the external market is being used, or the swap yield curve. Rate will be selected on that yield curve which corresponds to the period of 3 years. In making such a choice, FTP rate will correspond also to the period of establishment of this credit facility and its maturity. Let us take the case of a deposit with 1 year maturity, invested in a three-year credit with a fixed interest rate. If both transactions were conducted in the same time period, one yield curve will be used containing the chosen FTP rates. In the application of the matched maturity method, once the FTP rate is selected at the moment of creation of the transaction, it shall remain unchanged throughout the life cycle of the product. Interest margin of the credit facility will remain constant until its maturity has expired. In this way, the risk of the interest rate change will be isolated from the results of 67

Razlog tome leži u činjenici da varijabilnost tržišnih kamatnih stopa potencira problem rizika kamatnih stopa, što uslovljava povećanu nestabilnost u poslovanju banke. Grafik 1. Eliminacija kamatnog rizika primenom metode ročne ravnoteže Ukoliko pogledamo krive prinosa predstavljene slikom 2. razlika između krive prinosa na nerizična ulaganja i svop krive prinosa jeste svop spred. Svop spred predstavlja tekuću cenu, trošak, po kojoj se plasman sa fiksnom kamatnom stopom konvertuje u plasman sa varijabilnom kamatnom stopom. Drugim rečima, svop spred predstavlja cenu za eliminaciju kamatnog rizika. Uzmimo za primer autokredit na 5 godina. Odobren je po fiksnoj stopi od 5%. Kriva prinosa zajmotražioca biće na visini y ose u zavisnosti od visine kreditnog rizika zajmotražioca odnosno premije na kreditni rizik. Cena koštanja predstavlja krivu prinosa zaduživanja banke na eksternom tržištu za veće iznose koja takođe može biti uzeta kao FTP kriva prinosa. Kriva prinosa zaduživanja na eksternom tržištu predstavlja svop krivu prinosa uvećanju za kreditni rizik banke. Za period od 5 godina, trošak finansiranja iznosi 4,5%, što daje kamatnu maržu u visini od 0,5% i predstavlja razliku između rizika banke i rizika zajmotražioca. Spred od 0,5% biće nepromenjen u toku životnog veka kredita čime će profitabilnost kreditnog sektora ostati izolovana od promena tržišnih kamatnih stopa. Sa druge strane ako se odobren plaman finansira prikupljenim depozitom sa rokom oročenja od 5 godina po stopi od 3%, depozitni sektor sredstva pozajmljuje funding centru po stopi od 4% koja se nalazi na svop krivi prinosa za period od 5 godina što daje spred od 1% koji se pripisuje depozitima. U navedenom primeru izloženost kamatnom riziku ne postoji, jer ročnost kredita odgovara ročnosti depozita kojim je finansiran. Glavna prednost MMTP metodologije, uočava se ako promenimo jednu od pretpostavki u datom primeru. Pretpostavimo da se kredit odobren na 5 godina po fiksnoj kamatnoj stopi finansira depozitom oročenim na godinu dana po stopi od 1,5%. U tom slučaju, FTP stopa po kojoj funding centar pozajmljuje sredstva iznosi 2,5%. Spred koji pripada depozitnom sektoru jednak je 1% Spred koji pripada kreditnom sektoru i FTP stopa su nepromenjeni. Razliku od 4% po kojoj funding centar kreditira sektor kredita i 2,5% po kojoj pozajmljuje od depozitnog sektora jeste spred koji zadržava funding centar. To je cena za preuzet kamatni rizik koji se javlja usled finansiranja petogodišnjeg kredita depozitom sa rokom od 1 godine. Na funding centru ostaje da li će dalje sprovesti hedžing transakciju u cilju zaštite od kamatnog rizika ili će preuzeti rizik na sebe ukoliko ocenjuje da će kretanje kamatnih stopa biti povoljno u narednom periodu. Izbor FTP stope Izbor krive prinosa predstavlja kritičan momenat FTP procesa. Ovo se naglašava iz razloga što profitabilnost celokupne aktive i pasive zavisi od izbora stopa koje će se dodeljivati sa izabrane krive prinosa. Principi od kojih se polazi prilikom izbora krive prinosa u okviru FTP procesa su sledeći: Oportunitetnost: Kriva prinosa treba da odražava oportunitetni trošak aktive (sredstava) ili korisnost ukupne pasive (izvora sredstava). 68

the crediting department of a bank, which is operating within the funding centre. In case of products with the variable interest rate, FTP rate will be constant up to the moment of change in the client s interest rate, i.e. up to the moment of its adjustment to the actual market interest rate that is currently in force. In this way, credit sector spread shall also remain constant for the duration of the credit. The complexity of this method is significantly higher than in the case of pool method and requires higher engagement of resources both for application and for maintenance. The quality of information obtained, however, justifies all additional investments. Within the MMTP methodology, majority of banks apply as the FTP yield curve the swap yield curve. Interest rate swap, being one of the first banking products to appear in the modern market banking, is an arrangement between the two parties having complementary needs to swap interest liabilities at their mutual advantage. Through such an arrangement it is possible for the current asset or liability to be transformed into an asset or liability with a different interest rate structure (for example, variable interest rate into a fixed one, LIBOR into a commercial papers rate, etc.). When using the interest rate swap, bank wishes to neutralise losses that may arise through the presence of the interest risk. The reason for this lies in the fact that the variability of the market interest rates is boosting the problem of interest rate risks, which in turn causes a higher instability in the banks operations. Graph 1. Elimination of the interest rate risk by applying the matched maturity method Time When we look at the yield curves presented in Figure 2, the difference between the yield curve on the risk-free investments and the swap yield curve is the swap spread. Swap spread is the current price, cost at which the placement with the fixed interest rate is being converted into a placement with the variable interest rate. In other words, swap spread is the price for elimination of the interest rate risk. Let us look at the case of a car-purchase 5-year loan, granted at a fixed interest rate of 5%. Yield curve of the loan beneficiary will be at the height of the y axis, depending on the height of the loan beneficiary credit risk, i.e. of the credit risk premium. Cost price represents the yield curve of the bank s borrowing on the external market for higher amounts, which can also be taken as the FTP yield curve. External market borrowing yield curve represent the swap yield curve increased for the credit risk of the bank. Cost of financing, for a 5-year period, amounts to 4.5%, which yields the interest margin of 0.5% and represents the difference between the risk of the bank and the risk of the loan beneficiary. Spread of 0.5% will remain unchanged during the life cycle of the loan, thus keeping the profitability of the crediting department isolated from the changes in the market interest rates. On the other hand, if the approved placement is to be financed through raised deposits with the maturity period of 5 years per 3% rate, the deposit sector shall lend money to the funding centre at a rate of 4% which is present on the swap yield curve for Loan revenues Cost price Swap revenues curve Risk-free investments revenue curve Deposit revenues curve a period of 5 years, thus giving a spread of 1% which is credited to the deposits. In the above example exposure to the interest rate risk is absent, as the loan maturity is matched with the deposit maturity providing for its funding. The main advantage of the MMTP methodology becomes plainly obvious if we are to change one of the assumptions given in the above case. Let us assume that the loan approved for a 5-year maturity at a fixed interest rate is 69

Egzaktnost: Kamatne stope moraju biti precizno definisane vrednosti za banku. Praktičnost: Kamatne stope ne treba da predstavljaju procenat do kojeg je teško doći. Iz razloga praktičnosti, u upotrebi su stope koje se objavljuju na dnevnom nivou, kako bi se smanjila moguća odstupanja prilikom ekstrapolacije istih. 2 Motivacioni efekat je takođe bitan. Stope treba da odražavaju realni rizik plasmana koji se finansiraju. Ukoliko su postavljene suviše visoko, to demotivaciono deluje na poslovne sektore prodaje, jer je njihova profitabilnost time direktno ugrožena. Fer i transparentne: Kao što ćemo videti u nastavku rada, veoma je važno da menadžeri centara razumeju šta predstavlja i kako se gradi FTP stopa. Ne sme postojati nikave mistike u radu celokupnog procesa. Veliki uticaj na izbor FTP stope ima i sama karakteristika proizvoda (tip kamate, ročnost, gotovinskih tok, uključene opcije itd). Na osnovu toga možemo diferencirati nekoliko modela za formiranje FTP stope u zavisnosti od karakteristika proizvoda. Rok dospeća plasmana i tip kamatne stope - Za proizvode sa fiksnom kamatnom stopom, na krivi prinosa za određenu valutu, koja odgovara ročnosti proizvoda (6 meseci, 2 ili 5 godina) bira se euribor/libor na dan nastanka finansijske transakcije. FTP stopa će biti utvrđena u momentu nastanka proizvoda i ostaće nepromenjena sve do isteka roka dospeća. Za proizvode sa varijabilnom kamatnom stopom, FTP stopa se utvrđuje u momentu nastanka proizvoda, ali će biti važeća za vremenski interval do sledeće promene cene definisane konkretnim ugovorom sa klijentom banke. FTP stopa će se promeniti uvek kada se i klijentska stopa promeni, čime se eliminiše iz neto rezultata proizvoda, nastanak dobitka ili gubitka koji može javiti realizacijom kamatnog rizika. Kamatna margina proizvoda ostaje nepromenjena od momenta nastanka transakcije, samim tim profitabilnost proizvoda će ostati nepromenjena bez obzira na buduća kretanja kamatnih stopa. Uzmimo za primer kredit koji je odobren na 2 godine, ali čija kamatna stopa zavisi od 3mesečnog USD Libora koji je uzet kao bazna kamatna stopa. U tim slučajevima klijentska kamatna stopa ili ROA, formira se kao zbir bazne kamatne stope i određenog nivoa marže ili spreda. Ako uzmemo da je 3m USD Libor 1,57% i spred 2%, klijentska kamatna stopa u momentu odobravanja kredita iznosiće 3,57% Pretpostavimo da FTP stopa na svop krivi prinosa za rok od 3 meseca iznosi 2%, (bazna stopa uvećana za trošak svop transakcije + 0,43%), dobićemo kamatni spred od 1,57% koji pripada kreditnom sektoru. Klijentska kamatna stopa do perioda isteka od 2 godine, kvartalno će se usaglašavati sa nivoom 3mesečnog USD Libora. Za naredni kvartal uzeće se nova vrednost 3m USD Libora. Uzmimo da je došlo do pada, te sad iznosi 1,45%, klijenstska kamatna stopa za naredna 3 meseca iznosiće 3,45% FTP stopa će se takođe promeniti na kraju kvartala i iznosiće 1,88% (1,45% + 0,43%) i ostaće na tom nivou za naredna 3 meseca. Nakon usaglašavanja klijentske i FTP stope, kamatni spred kreditnog sektora ostaće nepromenjen u iznosu od 1,57% sve do isteka 2 godine. Navedeni model za određivanja FTP stope kod plasmana sa fiksnom i varijabilnom kamatnom stopom, može se koristiti samo kod proizvoda koji su tipski, ne zavise od pregovaračke moći klijenta. Polazna pretpostavka modela jeste da se plasmani finansiraju putem izvora sa istom karakteristikom tipa kamatne stope. Model takođe ne uzima u obzir gotovinske tokove koji se mogu pojaviti u zavisnosti od karakteristika ugovora tj. ugrađenih opcija, ignorišići prilive/ odlive gotovine pre roka dospeća. Naveden model koristimo kod kredita sa otplatom kamate u momentu vraćanja kredita i oročenih depozita sa fiksnom kamatnom stopom, sa kamatom koja se plaća po dospeću depozita. Većina kredita otplaćuje se određenom učestalošću, prema amortizacionom planu. Tok gotovine koji nastaje po tom osnovu predstavlja naredni faktor koji se mora uzeti u obzir prilikom određivanja FTP stope. Funding 2 Danas postoji više sajtova na internetu koji su specijalizovani za davanje finansijskih informacija, među njima i o najvažnijim kamatnim stopama. Jedan od njih je www.bloomberg.com 70

financed by a time deposit with one-year maturity and at an interest rate of 1.5%. In this case, the FTP rate, at which the funding centre is lending funds, shall amount to 2.5%. Spread which belongs to the deposit sector is equal to 1%. Spread which belongs to the crediting sector, and the FTP rate, both remain unchanged. The difference of 4%, at which the funding centre is crediting the crediting sector, and 2.5% at which it is borrowing funds from the deposit sector, is the spread that is kept by the funding centre. This is the price for assuming the interest rate risk, which appears because a five-year loan is being financed by a one-year maturity deposit. It is up to the funding centre to decide whether it shall conduct further hedging transactions for protection from the interest rate risk, or whether it shall assume the risk if assessing that the interest rate movements will be favourable in the forthcoming period. Selecton of the FTP rate Selection of the yield curve is the critical moment in the FTP process. This is being emphasised because profitability of the total assets and liabilities will depend on the chosen rates that shall be assigned from the selected yield curve. Principles taken as a starting point in the selection of the yield curve within the FTP process are the following: Opportunity cost: Yield curve should reflect the opportunity cost of assets (funds), or the benefit of total liabilities (source of funding). Exact interest: Interest rates must be precisely specified and defined values for the bank. Practicality: Interest rates should not be set at a percentage that is hard to achieve. For reasons of practicality, the rates that are in common use are the rates published on a daily basis, in order to reduce any possible discrepancies during the extrapolation of the rates. 2 Motivation effect is also a significant one. Rates should reflect the real risk of placements that are being financed. If they are set too high, this may have a demotivation effect on sales sectors of the bank, as their profitability may be directly jeopardised. Fair and transparent: As we shall see further in this paper, it is very important for the managers of centres to understand what actually the FTP rate is and how it is constructed. There must be no mystification in the functioning of the entire process. Great impact on the selection of the FTP rate is exercised by the characteristics of the product itself (type of the interest rate, maturity, cash flows, embodied options, etc.). On the basis thereof we can differentiate between several models for the formation of the FTP rate depending on the product characteristics. Maturity of placement and the interest rate type - For products with the fixed interest rate, on the yield curve for a certain currency which corresponds to the product maturity (6 months, 2 or 5 years), Euribor/Libor is selected on the day of occurrence of the financial transaction. FTP rate shall be determined at the moment of materialization of the product and shall remain unchanged throughout the period until its maturity. For products with the variable interest rate, the FTP rate shall be determined at the moment of materialization of the product, but it shall apply for the time interval up to the next change in price, as defined in the concrete contract agreement with the bank s client. FTP rate shall be changed always when the client s rate is changed, thus eliminating from the net product result the appearance of profit or loss resulting from the realisation of the interest rate risk. Interest margin of the product shall remain unchanged from the moment of creation of the transaction, and thus the profitability of the product itself shall remain unchanged regardless of the future movements in the interest rates. Let us take an example of a 2-year credit, but with an interest rate based on the 3-month USD Libor, which has been taken as 2 At present, there are a number of websites on the internet specialised in offering financial information, among them also about the most important interest rates. One of them is the www.bloomberg.com. 71

centar ne usklađuje samo ročnost instrumenata već i njihove gotovinske tokove. Na taj način se postiže veći stepen zaštite u poslovanju banke, iz razloga što se gotovinski prilivi i odlivi dešavaju u vremenskim intervalima različitim od roka dospeća proizvoda. Depoziti po viđenju, kreditne kartice, minusi po tekućim računima itd. predstavljaju proizvode koji nemaju fiksan i unapred poznat rok dospeća. Predstavljaju pravi izazov za Asset Liability Managament i za Fund transfer pricing. Izazov leži u činjenici da je reč o proizvodima koji su na raspolaganju klijentu po pozivu i kod kojih ne postoji nikakva prethodno definisana ročnost. Statistika i empirijski podaci ukazuju da banka može računati na određeni deo tih sredstava. Nezavisno što se novcem može raspolagati po pozivu, postoji određeno jezgro koje ostaje na računima na duži vremenski period (klijenti ih drže radi obavljanja platnog prometa i za potrebe likvidnosti), sa kojim iznosom banka može računati. Na osnovu statisitčkih podataka, 40% iznosa kod ove vrste proizvoda se smatra visoko fluktuirajućim dok preostali iznos se može smatrati da ima rok od 1 godine. Za kalkulaciju FTP stope ovih proizvoda, koristi se mesečni prosek važećih kamatnih stopa na tržištu. Uobičajeno je da se koristi prosek 3m euribora. (Zbir dnevnih kamatnih stopa / brojem dana u mesecu). Svakog meseca proizvodima se dodeljuje nova FTP stopa, koja predstavlja prosek tekućeg meseca. Za proizvode kod kojih se cena forimira na osnovu pregovaračke moći vodi se posebna FTP politika. Polaganje velikih depozita na račune banke ili učestvovanje u sindiciranom kreditu svakako su proizvodi kod kojih se odstupa od opštih pravila FTP politike. FTP stopa je direktno data od strane sektora sredstava. Stopa po kojoj će sektor istupiti zavisi od tržišnih uslova i uslova u kojima se banka trenutno nalazi. Kamatni rizik Kako ukupna profitabilnost banke u velikoj meri zavisi od kretanja kamatnih stopa, iz redovne poslovne aktivnosti se želi izvući uticaj promene kamatnih stopa na krajnji rezultat poslovnih sektora. Na taj način uspeh u poslovima kreditranja i prikupljanja depozita moći će se pratiti tokom vremenskih intervala, upoređivati proizvodi, sektori itd. Uzmimo za primer potrošački kredit sa fiksnom kamatnom stopom, koji predstavlja jedan od najmasovnijih proizvoda kod stanovništva. Rok dospeća je 2 godine. Potrošački kredit se finansira iz oročenih depozita na šest meseci. Za taj period kamata koja se plaća poveriocima je takođe fiksna. Tabela 2. Uticaj kamatnog rizika na profitabilnost proizvoda Scenario A momenat nastanka kredita i depozita Potrošački kredit 12% Oročen depozit 8% Spred 4%??? Scenario B rast tržišnih kamatnih stopa za 1 procentni poen Potrošački kredit 12% Oročen depozit 8% 9% 9% 9% Spred 4% 3% 3% 3% Menadžeri poslovnih sektora, ne dele uvek mišljenje da se uticaj kamatnog rizika treba eliminisati iz njihovog rezultata. Međutim, postoji nekoliko argumenata zašto je bolje da upravljanje kamantim rizikom bude centralizovano, u okviru sektora sredstava i isto tako eliminisano iz rezultata poslovnih jedinica. Kamatni rizik koji nastaje u jednom delu poslovne aktivnosti banke, može se neutralisati poslovnim aktivnostima nastalim u drugim aktivnostima banke. Centralizacijom se postiže i uočava bolji pregled nad svim aktivnostima i sagledava neto izloženost banke kamatnom riziku, a sama zaštita od izloženosti postiže se mnogo efikasnije. Mišljenje menadžera prodajnih sektora o ne eliminisanju kamatnog rizika iz njihovih poslovnih aktivnosti, zastupljeno iz razloga nedovoljno ostvarenog profita koji se želi u uslovima pada kamatnih stopa dodatno uvećati (smanjenje mariginalnog troška finansiranja). U periodima rasta kamatnih stopa, mišljenje o decentralizaciji je veoma ili nimalo zastupljeno. Minimizirati kamatni rizik nije nimalo lako. Sektor sredstava ispred sebe ima mnogo veći broj opcija od menadžera poslovnih sektora. 72

the base interest rate. In such cases, the client s interest rate, or the Return on Assets - ROA is being formed as the sum of the base interest rate and a certain level of margin or spread. If we are to assume that the 3-month USD Libor is 1.57% and the spread is 2%, the client s interest rate at the moment of credit approval will amount to 3.57%. Let us assume that the FTP rate on the swap yield curve for a 3-month period is 2%, (base rate increased for the swap transaction cost + 0.43%), we shall obtain the interest spread of 1.57% which belongs to the crediting department. Client s borrowing interest rate, until the period of the 2-year maturity shall expire, will be quarterly adjusted to the level of a 3-month USD Libor. For the forthcoming quarterly period, a new value will be applied for a 3-month USD Libor. Let us assume that it fell, and that it now amounts to 1.45%, the client s borrowing interest rate for the next 3 months shall amount to 3.45%. FTP rate will also be changing at the end of the quarter and shall amount to 1.88% (1.45% + 0.43%) and shall remain on that level for the next three months. After the adjustment of the client s and the FTP rates, interest spread of the crediting sector shall remain unchanged in the amount 1.57% for as long as the period of 2 years has not expired. The above described model for determining the FTP rate for placements with the fixed and the variable interest rates may be used only in products which are typical, and which do not depend on the negotiating power of the client. Starting point for this model is the fact that the placements are being finances from sources with the same characteristics regarding the type of the interest rate. The model also does not take into consideration the cash flows which may appear depending on the contractual characteristics, i.e. of the contract embodied options, ignoring cash inflows and outflows before maturity. We are applying the said model to credits with the interest repayment at the time of credit reimbursement, and in cases of time deposits with the fixed interest rate, with the interest paid at deposit maturity. Majority of credit facilities are being repaid at a certain frequency, according to the loan discharge schedule. Cash flows created on that basis represent the next factor that must be taken into consideration in determining the FTP rate. Funding centre is not matching only maturity of instruments, but also their cash flows. In this manner, what is achieved is a higher degree of protection in the business operations of banks, because the cash inflows and outflows are happening in time intervals which are different from the maturity of products. Sight deposits, credit cards, current account overdrafts, etc., are products that do not have a fixed and in advance known maturity. They are a true challenge for the Assets and Liabilities Management, and also for the Funds Transfer Pricing. The challenge is in the fact that they are products which are available to clients at call and where there is no previously defined maturity at all. Statistical and empirical data show that a bank may count on a certain part of these funds. Irrespective of the fact that the money may be available at call, there still is a certain core which remains on the accounts for a longer period of time (clients are keeping such funds in order to cover payment transactions and for their liquidity needs), and the bank can count on such amounts. On the basis of statistical data, 40% of the amounts of such type of products are considered highly fluctuating, while the remaining amount may be deemed to be of the 1- year maturity. For calculating the FTP rate of such products, a monthly average is being used of the market interest rates in force. It is customary to use the average of a 3-month Euribor (the sum of daily interest rates / number of days in the month). Every month, products are allocated a new FTP rate, which is the average of the current month. For products where the price is formed on the basis of the negotiating power, special FTP policy is conducted. When large-scale deposits are made on bank accounts, or when there is participation in the syndicated credits, they are certainly deemed to be products where there is exemption from the general rules of the FTP policies. In such cases, FTP rate is directly set by the Treasury. The rate at which a sector will venture depends on the market conditions and the current circumstances prevailing in the bank. 73

Menadžeri kao i zaposleni u kreditnodepozitnim sektorima, ne treba da budu dodatno opterećeni i upravljanjem kamatnim rizikom prilikom ugovaranja i obavljanja njihovih aktivnosti. Njihov zadatak je što veće privlačenje broja deponenata po što povoljnijim uslovima i što rentabilnije plasiranja kredita. Veća ekspertiza zaposlenih u okviru treasury-ja. Centralizovano upravljanje kamatnim rizikom je ekonomičnije od decentralizovnog pristupa. Sektor sredstava - Treasury FTP sistem omogućava da se efekti promene tržišnih kamatnih stopa transferišu od bazičnih aktivnosti ka sektoru sredstava. Na taj način postiže se da rezultati bazičnih aktivnosti budu neutralni na promene stopa i jasno se mogu sagledati i kvantifikovati efekti donetih poslovnih odluka. Sektor sredstava u čijoj nadležnosti spada finansiranje kredita, može tražiti izvor iste ročnosti i re-pricinga ili prihvatiti re-pricing rizik. Ako je izvor kredita identičan plasmanu, kamatni rizik ne postoji. Ako Treasury odluči da prihvati re-pricing rizik, tako što će se finansirati plasman npr. sa rokom od 5 godina, jednogodišnjim izvorom, preuzima na sebe rizik. Njemu pripada razlika između depozitne FTP stope i po kojoj zadužuje kredite. Tako na primer, ako je FTP stopa za kredite na petogodišnji plasman 10%, a za jednogodišnji depozit 8%, T r e a s u r y zadržava razliku od 2%. Svakako da sektor sredstava anticipira buduće kretanje kamatnih stopa. Ukoliko dođe do rasta, spred od 2% će se smanjiti ili preći u Kredit...100.000 Stopa prinosa...9% Kratkoročni izvor fin....100.000 Pasivna kamatna stopa...3,5% Prihodi od kamata...9.000 Rashodi od kamata...3.500 Neto rezultat...5.500 negativan. Sektor sredstava može da otvorenu poziciju zatvori izlaskom na međubankarsko tržište ili da pristupi ofanzivno tj. da postojeću neusklađenost iskoristi za ostvarivanje većeg profita na bazi predviđenog kretanja kamatnih stopa. I u jednom i u drugom slučaju, efekti kamatnog rizika biće isključeni iz rezultata tradicionalnih aktivnosti. Za kreditni i depozitni sektor, kamatni rizik je eliminisan dodeljivanjem odgovarajuće FTP stope koja ostaje fiksna u toku životnog veka proizvoda ili do momenta ponovne promene cene. Na taj način margina proizvoda ostaje nepromenjena sve do isteka proizvoda. U okviru FTP procesa, osniva se poseban - imaginarni entitet centar konsolidacije kroz koji se evidentiraju sve transakcije unutar FTP procesa. Često se za centar konsolidacije koristi naziv funding centar mada se može naći i pod imenom treasury centar ili offset centar. Prva funkcija jeste kontrolne prirode. Naime rezultati FTP tokova zajedno sa realnim tokovima daju kamatne margine poslovnih sektora. Krajnji rezultat banke, ne sme biti veštački uvećan, odnosno umanjen za kalkulativne kategorije. Kroz funding centar vrši se netiranje svih FTP prihoda i rashoda tako da je ukupan zbir FTP transakcija svih poslovnih sektora jednak nuli. Druga, više puta pomenuta, jeste eliminisanje kamatnog rizika iz rezultata poslovnih jedinica, i zaštita njihove profitabinosti od kretanja u kamatnim stopama. Tabela 3. Rezultat kreditnog sektora u uslovima rastućih kamatnih stopa Bilans uspeha Banke Rast kamatnih stopa od 100 bps Bilans uspeha Banke Kredit...100.000 Stopa prinosa...9% Kratkoročni izvor fin....100.000 Pasivna kamatna stopa...4,5% Prihodi od kamata...9.000 Rashodi od kamata...4.500 Neto rezultat...4.500 = Bilans uspeha kreditnog sektora + Kredit...100.000 Stopa prinosa...9% Pozajmljena sredstva...100.000...100.000 Trošak finansiranja...8% finansiranja...8% Prihodi od kamata...9.000 Rashodi od kamata...8.000 Neto rezultat...1.000 = Bilans uspeha kreditnog sektora + Kredit...100.000 Stopa prinosa...9% Pozajmljena sredstva...100.000...100.000 Trošak finansiranja...8% finansiranja...8% Prihodi od kamata...9.000 Rashodi od kamata...8.000 Neto rezultat...1.000 Bilans uspeha funding centra Pozajmljena sredstva...100.000...100.000 Stopa prinosa...8%...8% Kratkoročni izvor fin....100.000 Pasivna kamatna stopa...3,5% Prihodi od kamata...8.000 Rashodi od kamata...3.500 Neto rezultat...4.500 Bilans uspeha funding centra Pozajmljena sredstva...100.000...100.000 Stopa prinosa...8%...8% Kratkoročni izvor fin....100.000 Pasivna kamatna stopa...4,5% Prihodi od kamata...8.000 Rashodi od kamata...4.500 Neto rezultat...3.500 74

Interest rate risk The total profitability of a bank being heavily dependent on the movement in the interest rates, the tendency is to eliminate from the regular business activities the impact of the changes in the interest rates on the final result of the business sectors. In this way, the success achieved in the crediting activities and deposit operations may be monitored over time intervals, products may be compared, sectors as well, etc. Let us take as an example the consumer loan with a fixed interest rate, which is one of the most massively deployed products in the retail banking. Maturity term is 2 years. Consumer loan is financed from the time deposits with a 6-month maturity. For this maturity period, interest paid to creditors is also fixed. Table 2. Interest rate risk impact on profitability of products Scenario A: time of occurrence of the loan and deposit Consumer loan 12% Time deposit 8% Spread 4%??? Scenario B: growth of market interest rates by 1 percentage point Consumer loan 12% Time deposit 8% 9% 9% 9% Spread 4% 3% 3% 3% Business sectors managers do not always share the opinion that the interest rate risk impact should be eliminated from their result. There are several arguments, however, supporting the stance that it is better to have the interest rate risk managed at a centralised level, within the Treasury, and have it eliminated from the results of the business units. Interest rate risk, when occurring in one segment of the business activity of a bank, may be neutralised through business activities in other operational units of that same bank. Centralisation achieves and offers a better overview of all the activities and assesses net bank exposure to the interest rate risk, while the protection itself from exposure is achieved in a much more efficient way. Opinion of the sales department managers supporting non-elimination of the interest rate risk from their business activities prevails for the reason of insufficiently achieved profit which is desired in the situation of decline in the interest rates to be additionally augmented (reduction in the marginal costs of financing). In the periods of growth in the interest rates, the views on decentralisation are seldom voiced, or are not present at all. Minimisation of the interest rate risk is not an easy task in the least. Treasury is faced with a much larger number of options than are the managers of the individual business units. Both managers and the staff employed in the crediting and deposit sectors should not be additionally burdened with managing of the interest rate risk in contracting deals and conducting their other activities. Their task is to attract as large a number of depositors at the most favourable terms possible, and to approve and grant credit facilities at the most profitable terms and conditions. Higher expert skills and knowledge of staff employed within the Treasury department is present. Centralised management of the interest rate risk is more cost effective than the decentralised approach. Treasury The FTP system allows for the effects of change in the market interest rates to be transferred from basic activities towards the Treasury. In this way, results of the basic activities remain neutral to the changes of rates and can clearly be assessed and quantified as the effects of the business decisions made. Treasury, which is in charge of credit financing, may look for funding sources of the same maturity and repricing, or feel free to accept the re-pricing risk. If the source of credit funding is identical with the placement, the interest rate risk is absent. If the Treasury, however, should decide to accept the re-pricing risk by financing placement, for example of a 5-year maturity with a 1-year financial source, it is taking upon itself this risk. Treasury is entitled to the difference between the deposit FTP rate, and the rate at which it is charging crediting facilities. For example, if the FTP rate for the 5-year credit granted is 75

Prihod kreditnog sektora je ostao isti, nezavisno od promene stopa na tržištu. Ono što je najvažnije jeste da absorpciju promena u kamatnim stopama tokom vremena snosi funding centar. Scenario je isti i kod depozitnog sektora. Promene kamatnih stopa tokom vremena neće uticati na profitabilnost depozitnog sektora. On će ostati isti. Rizik promene stopa na tržištu snosi funding centar. Grafik 2. Segregacija kamatne margine primenom FTP metoda ročne ravnoteže Pretpostavimo da se banka sastoji od tri sektora, jedan (kreditni sektor) koji u svom portfoliu ima samo jedan kredit sa rokom od godinu dana, drugi (depozitni sektor) sa jednim depozitom u svom portfoliju od godinu dana ročnosti i funding centar koji se nalazi u okviru treasury-ja odgovornom za primenu ALM strategije. 3 Takođe, polazimo od pretpostavke da i kreditni i depozitni sektor generišu isti iznos volumena. Depozitni sektor prikupljena sredstva pozajmljuje funding centru, primajući za to spred u rasponu HI. Kreditni sektor pozajmljuje sredstva od funding centra, ostvarujući pritom spred u rasponu GH. Treasury sektor, procenjujući uslove na tržištu veruje da će krive prinosa biti stabilne, te da je za banku isplativije da plasmane finansira iz jeftinijih izvora sa rokom dospeća od 3 meseca. Da bi to ostvario, sektor sredstava izlazi na eksterno tržište i prodaje sredstva prikupljena od strane depozitnog sektora i kupuje isti iznos sredstava sa rokom od tri meseca. Ukoliko je predviđanje sektora tačno, funding centar povećaće rezultat banke jednak spredu HJ. Ukoliko je spred koji se ostvaruje finansiranjem sa rokom dospeća od 3 meseca (JK) jednak spredu izvora sa rokom dospeća od godinu dana (HI), povećanje neto prihoda od aktivnosti funding centra je jednak spredu IK. Ukupno ostvoren rezultat banke GK može biti podeljen na: rezultat ostvaren od kreditnih aktivnosti GH, rezultat ostvaren od depozitnih aktivnosti HI i IK rezultat ostvaren od strane funding centra - efekat kamatnog rizika. Sektor preuzima na sebe rizik kamatne stope. Ukoliko ima agresivan pristup, treasury ce uz pomoć svojih alata nastojati da ne samo neutrališe efekte rizika već i da ostvari određen profit. I dok primena metode ročne ravnoteže u okviru FTP procesa izoluje efekat kamatnog rizika iz kamatne margine poslovnih sektora, neki rizici ipak ostaju. Tu mislimo na pojavu baznog i opcionog rizika. Bazni rizik nastaje kao posledica različitog kretanja repernih kamatnih stopa. Ako posmatramo sliku 6. bazni rizik se javlja zbog različitog kretanja bilo krive prinosa kredita AB ili depozita CD sa jedne strane i FTP krive prinosa EF sa druge. Ako se FTP kriva zasniva na krivi prinosa zapisa Trezora, a poslovni sektor odobri kredit po varijabilnoj stopi jednakoj euribor + margina, rizik koji se javlja u toku životnog veka kredita biće jednak različitom kretanju kamatnih stopa zapisa trezora i euribora. Uzmimo za primer da smo prošlog januara odobrili kredit po stopi 6m eurbor + 1%, euribor je iznosio 2,4%, dok je stopa zapisa Trezora 0,9%. Spred koji pripada kreditnom sektoru posle odbitka mariginalnog troška finansiranja iznosi 1,5% (euribor + 1% minus 0,9%). Stopa je varijabilna na period od 6 meseci. U julu iste godine kamatna stopa kredita menja se u skladu sa trenutno važećom stopom za 6m euribor. 6m euribor se povećao za 10bps dok se stopa na zapise trezora povećala 3 Teorijska koncepcija oformljena i primenjena 80-tih godina u razvijenim tržišnim privredama. Radi se o simultanom upravljanju aktivom i pasivom banaka (Asset and Liability Management - ALM) 76

10%, and for a 1-year deposit is 8%, Treasury keeps the difference of 2%. Treasury is certainly anticipating future trends in the interest rates. If there should be growth in the interest rates, a spread of 2% is reduced or may even enter the negative sphere. Treasury may close an open position by venturing on the interbank market, or by venturing aggressively, i.e. by using the existing mismatching position for gaining higher profit on the basis of the anticipated movement in the interest rates. In both the former and the latter case, the effects of the interest rate risk will be excluded from the results of traditional activities. For the crediting and deposit sectors of the bank, interest risk is eliminated by the assignment of a corresponding FTP rate which remains fixed during the life cycle of the product, or until the moment of the new re-pricing. In this way, the product margin remains unchanged until the expiry of the lifecycle of the product. Within the FTP process, a special - imaginary entity called centre for consolidation is being established, through which all the transactions within the FTP process are being recorded. Funding centre is often used as the name for this centre for consolidation, although it may also be found under the name of a Treasury Centre, or the Offset Centre. The first function of this centre is of a control nature. Namely, the results of the FTP flows, together with the real cash flows, are yielding interest margins of the business sectors. Final result of the bank may not be artificially magnified, i.e. diminished for the calculative categories. Through the funding centre, netting is being done of all the FTP revenues and expenditures, so that the total sum of the FTP transactions of all the business sectors of the bank equals zero. The second function of the FTP process, mentioned on many occasions, is to eliminate the interest rate risk from the result of the business units, and to protect their profitability from the movements of the interest rates. Table 3. Result of the crediting sector in the situation of the growing interest rates Bank's income statement Loan...100.000 Rate of return...9% Short-term source of fin....100.000 Passive interest rate...3.5% Interest revenue...9.000 Interest expenditures...3.500 Net result...5.500 = Lending Department's income statement + Loan...100.000 Rate of return...9% Pozajmljena Borrowed funds sredstva...100.000...100.000 Trošak Cost of finansiranja...8% finance...8% Interest revenue...9.000 Interest expenditures...8.000 Net result...1.000 Funding Centre's income statement Pozajmljena Borrowed funds sredstva...100.000...100.000 Stopa Cost of prinosa finance...8%...8% Short-term source of fin....100.000 Passive interest rate...3.5% Interest revenue...8.000 Interest expenditures...3.500 Net result...4.500 Growth of interest rates by 100 bps Bank's income statement Loan...100.000 Rate of return...9% Short-term source of fin....100.000 Passive interest rate...4.5% Interest revenue...9.000 Interest expenditures...4.500 Net result...4.500 = Lending Department's income statement + Loan...100.000 Rate of return...9% Pozajmljena Borrowed funds sredstva...100.000...100.000 Trošak Cost of finansiranja...8% finance...8% Interest revenue...9.000 Interest expenditures...8.000 Net result...1.000 Funding Centre's income statement Pozajmljena Borrowed funds sredstva...100.000...100.000 Stopa Cost of prinosa finance...8%...8% Short-term source of fin....100.000 Passive interest rate...4.5% Interest revenue...8.000 Interest expenditures...4.500 Net result...3.500 77

za 50bps, čime se kamatna margina kreditnog sektora smanjuje na 1,1%. Dodatni prihod ili gubitak, uvećavaće / smanjivaće rezultat kreditnog ili depozitnog sektora realizacijom ovog rizika. Mnogo ozbiljniji rizik koji se javlja je opcioni rizik. On proističe iz implicitnog izbora za klijente koji su sadržani u bankarskim proizvodima. Dakle rezultat su ponašanja klijenata koji vrše poređenje između prinosa i troškova koji se javljaju ukoliko se prihvati data opcija koju sadrži dati bankarski proizvod. U zavisnosti od uslova na tržištu, klijenti se opredeljuju ili odbacuju datu opciju. Opcioni rizik najviše je izražen kod stambenih kredita, kada u uslovima smanjenja kamatnih stopa, krediti se prevremeno otplaćuju putem refinansiranja kod druge finansijske ustanove. Većina FTP sistema, uvećava marginalni trošak finansiranja za visinu opcionog rizika pokušavajući na taj način dodatni trošak prevali na klijente. FTP kod nekamatonosnih pozicija Bilansa stanja Prilikom implementacije FTP-a u sistem banke, fokus je usmeren prevashodno na kamatonosne pozicije stanja koje generišu profit banke. To je i razumljivo jer te pozicije odslikavaju jezgro bankarske aktivnosti. Druge pozicije (kapital, zgrade) ne generišu direktno prihod za banku ili rashod, pa posmatrajući tako, njihove stope su jednake 0. Međutim svakako da postoji oportunitetni prihod ili rashod vezan za ove pozicije. Obeležje FTP-a jeste da on obuhvata banku kao celinu, a ne samo pojedine delove aktive ili pasive. Uključivanjem i ovih pozicija zaokružava se rezultat dobijen primenom FTP-a. U nekamatonosne pozicije spadaju: Kapital Ostale obaveze Pasivna vremenska razgraničenja (PVR) Gotovina i obavezna rezerva Osnovna sredstva i nematerijalna ulaganja Ostala aktiva Aktivna vremenska razgraničenja (AVR) Isto kao i kod kreditnih i depozitnih pozicija, funding centar predstavlja suprotnu stranu u ogledalu prilikom kalkulacije FTP prihoda / rashoda nekamatonosnih pozicija. Pri izboru FTP stope koje će biti dodeljene navedenim pozicijama većina banaka se rukovodi stopama koje su dodeljene za proizvode kreditnog i depozitnog sektora. Da bi se postupak pojednostavio, polazi se od pretpostavke da kapital zajedno sa ostalim obavezama i pasivnim vremenskim razgraničenjima služi za finansiranje osnovnih sredstava, 4 nematerijalnih ulaganja, ostale aktive i aktivnih vremenskih razgraničenja. FTP stopa po kojoj funding centar pozajmljuje sredstva od kapitala definišu se internom politikom banke, premda većina banaka koriste iste stope koje su važile za depozitni sektor. U narednoj ilustraciji jasnije ćemo prikazati mesto nekamatonosnih pozicija u FTP procesa. Tabela 4. Kapital i kapitalne pozicije u okviru FTP Valuta RSD EUR CHF Ostali Total AVR 100 40 10 10 160 Nematerijalna ulaganja 200.000 200.000 Osnovna sredstva 2.000.000 2.000.000 Ostala aktiva 500 400 100 20 1.020 Podtotal A 2.200.600 440 110 30 2.201.180 PVR 50 60 0 0 110 Ostale obaveze 20 20 0 0 40 Kapital 10.000.000 10.000.000 Podtotal B 10.000.070 80 0 0 10.000.150 Raspoloživ kapital za investiranje 9.800.530-320 -110-30 9.800.100 FTP stopa 16.5% 2.5% 0.5% 1.5% FTP prinos na kapital 134.757-0.67-0.049-0.04 134.756 FTP trošak za funding centar -134.757 0.67 0.049 0.04-134.756 4 Osnovna sredstva i nematerijalna ulaganja uzimaju se po odbitku ispravke vrednosti. Za FTP stopu za dinare uzeta je važeća referentna kamatna stopa (2w REPO) za mesec mart 09 78

Revenues of the crediting sector have remained the same, irrespective of the changes in rates on the market. What is the most important element here is the fact that the absorption of the changes in the interest rates, over time, is done by the funding centre. The scenario is the same in the deposit sector. The changes in the interest rates over time will not have an impact on the profitability of the deposit sector. It shall remain the same. The risk of change in the interest rates on the market is borne by the funding centre. Graph 2. Segregation of the interest margin through the application of the FTP matched maturity method Interest rate Lending Department's spread Deposit Department's spread Interest risk effect AB: Loan revenues curve CD: Collected deposits revenues curve EF: External market borrowing revenues curve Three months One year Maturity Let us assume that a bank consists of three sectors, one of them (crediting sector) has in its portfolio only one credit with a 1-year maturity, the second one (deposit sector) has one deposit in its portfolio with a 1-year maturity, and the funding sector, which is located within the Treasury, is responsible for the application of the ALM strategy. 3 In addition, let us start with the assumption that both the crediting and the deposit sectors are generating the same volume amount. Deposit sector lends raised funds to the funding centre, receiving in return a spread in the range HI. Crediting sector borrows funds from the funding centre, acquiring in this a spread of a GH range. Treasury sector, assessing market conditions, believes that the yield curves will remain stable, and that it is more profitable for the bank to finance placements from cheaper sources with the maturity term of 3 months. In order to do that, Treasury ventures on the external market and sells funds collected by the deposit sector and buys the same amount of funds with the 3 months maturity. If the forecast of the Treasury was correct, funding centre will increase bank result equal to the spread HJ. If the spread achieved from financing with the maturity of 3 months (JK) is equal to the spread with the financing source of a one year maturity (HI), increase in net income from activities of the funding centre is equal to the spread IK. The total achieved result of the bank GK may be divided as follows: result achieved from crediting activities GH, result achieved from deposit activities HI, and IK result achieved by the funding centre - the effect of interest rate risk. Sector takes upon itself the interest rate risk. If it is to adopt an aggressive approach, Treasury, with the aid of its tools, will strive not only to neutralise the risk effects, but also to achieve certain profit. While the application of the matched maturity method within the FTP process is isolating the effect of the interest rate risk from the interest margin of the business units (sectors), some of the risk shall still remain. We have in mind here the appearance of the basic or optional risk. Basic risk is created as a consequence of different movements in the benchmark interest rates. If we are to look at Figure 6, basic risk appears because of different movements either of the yield curve of credit AB, or deposit CD, on the one hand, and the FTP yield curve EF, on the other. If the FTP curve is based on the Treasury Bills yield curve, and the business sector is to approve credit at a variable interest rate equal to Euribor + margin, risk that appears during the life cycle of the credit shall be equal to the different movements of the interest rates on the Treasury Bills and Euribor. Let us take, for example, the case that we have approved a credit last January at the rate of 6 months Euribor + 1%, where Euribor was 2.4%, and the rate on Treasury Bills was 0.9%. Spread 3 Theoretical concept formed and applied in the 1980s in the developed market economies. It is a simultaneous management of both assets and liabilities of banks (Assets and Liabilities Management - ALM). 79